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S H H C >
(516/517)
Selected Interest &
Exchange Rates
Weekly Series of Charts
,
" i m m
M
B ™
b r a r y
Fl Ei B
12198
'
FEDERAL RESERVE
BANK OF CHICAGO
February 9, 1987
DIVISION OF
INTERNATIONAL FINANCE
Prepared by the
FINANCIAL MARKETS
SECTION
BOARD OF GOVERNORS
FEDERAL^ RESERVE SYSTEM
Washington, D C. 20551
Table of Contents
TABLES
SUBSCRIPTION RATES:
L LATEST FIGURES PLOTTED
Weekly $15.00 per year or $.40 each in the United
States, its possessions, Canada, and Mexico; 10 or
more of the same issue to one address, $13.50 per
year or $.35 each. Elsewhere, $20.00 per year or $.50
each. Address requests to Publications Services, Division of Administrative Services, and make payment
remittance payable to the order of the Board of
Governors of the Federal Reserve System in a form
collectible at par in U.S. Currency.
2. DAILY CERTIFIED SPOT
EXCHANGE RATES-H.10 RELEASE
CHARTS
1. SPOT EXCHANGE RATE INDICES
2. 3-MONTH FORWARD EXCHANGE RATES
3. GOLD PRICE-LONDON
4. CALL MONEY RATES
5. 3-MONTH INTEREST RATES
6. EURO-DOLLAR DEPOSIT RATES
7. SELECTED EURO-DOLLAR AND
U.S. MONEY MARKET RATES
8. INTEREST ARBITRAGE: 3-MONTH FUNDS
9. LONG-TERM GOVERNMENT BOND YIELDS
10. INDUSTRIAL STOCK INDICES
CHART 1
SPOT EXCHANGE INDICES
D O L L A R PRICES O F FOREIGN CURRENCIES AND WEIGHTED AVERAGE V A L U E S (THIN LINE)
A V E R A G E S FOR WEEK ENDING WEDNESDAY
RATIO SCALE
MARCH 1973=100
RATIO SCALE
MARCH 1973=100
50
—
FOREIGN C U R R E N C Y
PRICE O F U.S. D O L L A R
ITALIAN LIRA
45
f
,
_ Z S ~ V "
A
'
40
A /
35
30
j ^ y s T
-
~
25
I l,l lil l l l l l l
,, | , , | I I |
20
•
i
i
1
i
1
1
—
200
180
—
JAPANESE YEN
/~\~J
160
140
1
1
/
r
V
—
n
i
h
i
—
J*
-
1
1
1
1
1
90
-
80
-
70
I 11 I I I I 111IIl l l l l l l l l l
60
—
—
UK. POUND
-
/
i
40
120
i
i
r i
i
-
80
70
60
z
X
-
1
i
50
\ A
1
1
1
1
1
1
I I I I I I I I I I I
40
240
—
"
BELGIAN FRANC
f
100
-
=
80
-
70
-
60
—
N i h i l
1985
SWISS F R A N C
t\r
_
y
I I
1
1985
1
200
-
180
160
-
140
-
120
Illllllllll
100
r*
I I
—
y ^
vy
1
1987
/
—
90
50
90
—
FRENCH FRANC
70
rxy-
100
/v
1
— »
80
140
—
—
50
100
120
—
60
-
D U T C H GUILDER
CANADIAN D O L L A R
80
120
I ill ill ill I
l
fr
90
—
III III III I I
1987 .
CHART 2
3-MONTH FORWARD EXCHANGE RATES
P R E M I U M (+) O R ( - )
A V E R A G E S F O R W E E K ENDING W E D N E S D A Y
PERCENT PER ANNUM
PERCENT PER ANNUM
JAPANESE YEN
CANADIAN D O L L A R
12
U. K. P O U N D
SWISS F R A N C
GERMAN MARK
D U T C H GUILDER
FRENCH FRANC
ITALIAN LIRA
1985
1987
1985
1987
CHART 3
PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. I
LLARS PER FINE OUNCE
U.S. DOLLARS PER FINE OUNCE
480
480
460
460
440
440
12.5 Kg BARS
AFTERNOON FIXING PRICE
420
420
400
400
380
380
360
360
340
340
320
320
300
300
280
280
I I I I I I I I I
260
1984
1985
1986
260
1987
CHART 4
CALL MONEY RATES
WEEKLY SERIES
NT PER ANNUM
PERCENT PER Af
16
FRANCE
U. S. FEDERAL FUNDS
12
-
8
4
JAPAN
0
I
I
I
Vv
! :
I ' l l
16
CANADA
12
GERMANY
8
^/Wwv
4
0
16
UNITED KINGDOM
SWITZERLAND
12
8
4
NETHERLANDS
1
0
1985
1987
1985
1987
CHART 5
3-MONTH INTEREST RATES
WEEKLY SERIES
PER
[NT PER ANNUM
PERCENT PER Ah
14
16
u. s .
12
CANADIAN FINANCE CO.
PAPER
CD'S
-
14
10
—
8
WEIGHTED AVERAGE
FOREIGN RATE
I
I
I
I
I
/\
\
I
I
I
I
I
I
-
14
U.K. INTERBANK STERLING
FRENCH INTERBANK RATE
14
-
12
12
10
10
-
8
I
I
I
I
I
8
6
I
10
10
8
NETHERLANDS INTERBANK RATE
-
GERMAN INTERBANK RATE
8
6
/
\
4
l
l
l
I
I
V
A
- v VV
6
-
I
4
I
I
2
I
10
8
SWISS INTERBANK RATE
JAPANESE GENSAKI RATE
8
6
-
6
4
—
\
4
2
8
6
I
16
2
12
to
6
4
WM
I
I
I
I
I
1985
I
2
I II
11111111111
1987
1985
0
1987
CHART 6
EURO-DOLLAR DEPOSIT RATES
LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER Al
ENT PER ANNUM
14
3-MONTH
OVERNIGHT
12
-
10
8
6
I
M i l l
4
I
I
14
MONTH
7-DAY
12
10
8
6
4
14
1-YEAR
1-MONTH
12
10
8
6
4
1985
1987
1985
1987
CHART 7
SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U. S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
PERCENT PER ANNUM
16
14
16
-
14
12
10
FEDERAL FUNDS
90-DAY CD' S
DASHED LINE
DASHED LINE
12
-
10
6 —
OVERNIGHT
3-MONTH
E U R O - D O L L A R DEPOSITS
E U R O - D O L L A R DEPOSITS
11111111111
I I I I I I I I I M
I I II I I I I I II
11
DIFFERENTIAL
DIFFERENTIAL
-
J
1
1
1
1
I
I
IIIIIIIIIIIIIIIIIIIIIIII
1985
1 PERCENT ON DIFFERENTIAL S C A L E = 2 PERCENT ON RATE SCALE
1987
I[
I
I
I
I
1985
l
11111111111
11111111111
1987
CHART 8
INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: F L U S H , INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
PERCENT PER ANNUM
18
14
18
CANADIAN FINANCE
CO. PAPER, COVERED
INTERBANK STERLING
COVERED LONDON
10
EURO-DOLLAR DEPOSITS
DASHED LINE
U. S. COMMERCIAL PAPER
DASHED LINE
J_±
DIFFERENTIAL
DIFFERENTIAL
2
18
INTERBANK DM
14
SWISS INTERBANK (SF) COVERED
COVERED FRANKFURT
10
EURO-DOLLAR DEPOSITS
EURO-DOLLAR DEPOSITS
DASHED LINE
I
I
DASHED LINE
I
I
I
li
DIFFERENTIAL
DIFFERENTIAL
I IIIIIIIIII
1985
1987
1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE SCALE
1985
1987
CHART 9
LONG-TERM GOVERNMENT BOND YIELDS
W E E K L Y SERIES
PERCENT PER ANNUM
PERCENT PER ANNUM
16
—
16
UNITED S T A T E S
14
#
e
CANADA
-
-
—
A.
12
10
—
8
-
V
I
6
I
I
I
I
I
A
-
-
-
-
! IIIIIIIIIIIII IIIIIIII I
'\
l
l
l
l
l
l
III,,|,,||,
I
7
I
I
V
I
I
I
iiiiiiiiin
iiiiiiiiin
10
GERMANY
JAPAN
8
6
-
-
-
i
I l l
4
i
i
l i i m h f h T i h | | | | | |||, ,
17
MONTHLY
U. S. C O R P O R A T E
15
—
FRANCE
Aaa B O N D S
13
- y
11
-
V
—
v
-
NETHERLANDS
MONTHLY
9
-
-
7
-
-
5
i
i
i
I
I
1985
I
i ill i h i l l i i i i i i i i i i n
1987
1985
-
10
6
11
A /
12
Illllllllll
SWITZERLAND
9
-
8
-
UNITED K I N G D O M
14
-
15
13
-
1987
CHART 10
INDUSTRIAL STOCK INDICES
W E E K L Y SERIES
RATIO SCALE
1969=100
RATIO SCALE
1969=100
-
450
400
—
350
-
300
—
250
—
200
-
— hr\
200
150
-
-
150
-
~
500
450
300
/Vv/Ay
i
i
—
I
350
-
300
—
250
-
/
—
Av /
JAPAN
-
350
j
I
I
I
I
I
A
A
T
r
-
—
I
-
FRANCE
J
J
f
-
-
i
lllllllllll
100
250
225
SWITZERLAND
K
~
I
I
I
i
i
i
I
I
I
I
I
lllllllllll
lllllllllll
I llllllllll
—
-
200
-
150
-
-
GERMANY
A y A
A-ys
^
yV^
i
-
-
150
i
i
i
I
I
1985
I
llllllllll.
i
i
L I
I
lllllllllll
iiiiihiiii
—
-
100
450
400
-
350
-
300
-
-
250
-
-
200
-
-
150
MIMIIIIII
1987
75
250
-
-
-
100
-
—
-
200
-
300
—
j
125
-
—
—
-
350
-
—
250
150
-
-
-
—
^
-
450
400
— |
300
175
-
lllllllllll
NETHERLANDS
200
—
—
~
-
v
/
-
I
100
100
—
lllllllllll
—
—
350
i
—
250
450
400
i
-
I
—
150
„
-
-
300
200
I
—
-
a/V
200
150
I
—
—
-
250
A V
i
—
400
450
400
350
UNITED KINGDOM
UNITED STATES
100
450
400
CANADA
i
i
i
I
I
1985
I
lllllllllll
1987
100
SERIES NAME
LIST VALUE PLOTTED
DATE
VALUE
CHABT 1. SPOT EXCHANGE BATES AND INDICES
WEEKLY AVERAGES, NOON BUIISG BATES (U.S. CEJ1TS)
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U. K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAH FRANC
ITALIAN LIRA
SWEDISH KBONA
FEB. .
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
4
4
4
4
4
4
4
4
4
4
55.32
Q. 65478
49.04
152.50
74.92
16.58
65.58
2.66952
0.07764
15.41
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
4
4
4
4
4
4
4
4
4
155.61
171. 44
140. 79
61.68
74.67
74.71
210.98
105.19
44.11
4
4
4
4
4
4
4
4
4
4
4
98.90
167. 96
181. 12
142.84
58. 11
72. 32
71. 56
213.64
104.51
41.04
66.78
4
4
4
4
4
4
4
4
-1.25
-4.63
2. 05
-2.70
2.62
0.82
2.06
-4.23
INDICES, MARCH 1973 BASE BATES = 100
GEBHAW MARK
JAPANESE YEN
DUTCH GUILDER
U.K. POOWD
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100
(G-10 COUNTRIES PLUS SWITZERLAND)
O.S. DOLLAR
GERMAW MARK
JAPANESE YEN
DUTCH GUILDER
U.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRASC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KROIA
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
IT 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT
CANADIAN DOLLAR
U.K. POUND
GERMAN MARK
FRENCH FRANC
SWISS FRANC
DUTCH GUILDER
JAPANESE YEN
ITALIAN LIRA
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
SBBIBS NAME
LAST VALOB PLOT TBI
DATE
VALOB
CHABT 3. GOLD PBICB II LONDON, AFTEBNOON FIXING
0.S..DOLLARS PER PINE OONCE
FEB.
4
404.75
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
4
4
4
4
4
4
4
4
4
6.22
6.01
10.82
8.00
3.64
4.31
8.24
5.35
1.00
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
4
4
4
4
4
4
4
4
4
5. 94
3.98
4.00
7.43
11. 00
3.45
8.50
5.30
6.39
FEB.
FEB.
FEB.
FEB.
FEB.
FEB.
4
4
4
4
4
4
6.01
6.04
6.11
6. 14
6. 14
6. 16
4. CALL HONEY BATES
U.S. FEDERAL PONDS
OVERNIGHT EOBO-DOLLAB DEPOSITS
O.K.
CANADA
GERMANY
JAPAN
FRANCE
NETHERLANDS
SWITZERLAND
5. 3-MONTB INTEBBST BATES
D.S. 90-DAY CD'S, SECONDABI MABKBT
GERMAN INTERBANK LOAN
JAPANESE GENSAKI RATE
CANADIAN FINANCE PAPEB
IHTEBBANK STERLING
S1ISS INTERBANK LOAM
FRENCH INTERBANK RATE
NBTHBBLANDS IHTEBBANK RATE
WEIGHTED AVERAGE FOREIGN INTEREST RATE
(G-10 COUNTRIES PLOS SWITZERLAND)
6. EURO-DOLLAR DEPOSIT RATES: LONDON
OVERNIGHT
7-DAY
1-MONTH
3-MONTH
6-MONTH
1-YEAB
CHART 7. SELECTED EOBO-DOLLAB AND D.S. MONEY MARKET BATES
OVEBNIGHT BDBO-DOLLAB DEPOSITS
O.S. FEDEBAL FUNDS
DIFFEBENIIAL
FEB.
FEB.
FEB.
4
4
4
6.01
6. 22
-0.09
3-MONTH EOBO-DOLLAB DEPOSIT RATE
U.S. 90-DAY CD'S, SECONDABY MARKET
DIFFEBENIIAL
FEB.
FEB.
FEB.
4
4
4
6. 14
5.94
0. 20
SERIES NAME
LAST VALUE PLOTTED
DATE
VALUE
CHART 8. INTEREST ARBITRAGE, 3-MONTH FUNDS
EURO-DOLLAR DEPOSIT
INTERBANK STERLII6 {LOBDOM), COVERED
DIFFERENTIAL
FEB.
FEB.
FEB.
4
4
4
6. 14
6.24
-0.11
U.S. COMMERCIAL PAPER
CANADIAN FINANCE PAPER, COVERED
DIFFERENTIAL
FEB.
FEB.
FEB.
4
4
4
5.91
6.16
-0.25
EURO-DOLLAR DEPOSIT
INTERBANK DH (FRANKFORT), COVERED
DIFFERENTIAL
FEB.
FEB.
FEB.
4
4
4
6. 14
6. 05
0.09
EURO-DOLLAR DEPOSIT
SilSS INTERBANK, COVERED
DIFFERENTIAL
FEB.
FEB.
FEB.
4
4
4
6. 14
6.09
0.05
JAN.
JAM.
JAM.
JAM.
JAN*
JAN.
NOV.
JAN.
30
30
30
16
23
30
7. 15
5.66
4.30
4.06
8.84
9.29
6.30
9.73
CHART 9. LONG TERM GOVERMEMT BOND YIELDS
UNITED STATES
GERMANY
JAPAN (MONTHLY)
SWITZERLAND
CANADA
FRANCE
NETHERLANDS (MONTHLY)
UNITED KINGDOM
30
U.S. CORPORATE
AAA BONDS
CHAfiT 10.
JUNE
9* 13
STOCK INDICES
UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN
JAM.
JAN.
JAN.
JAN.
JAN.
JAN.
JAN.
JAN.
28
28
28
28
28
28
28
28
285.81
316.68
332.22
252.*5
192.62
311.31
415.98
459. 19
FEDERAL RESERVE statistical release
H.10(512)
FEBRUARY
6, 1967
FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING
FEBRUARY
6, 1987
The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certified
for customs purposes the following noon buying rates in New York City for cable transfers payable in foreign currencies:
COUNTRY
MONETARY
UNIT
•AUSTRALIA
AUSTRIA
BELGIUM
BRAZIL
CANADA
CHINA,P.R.
DENMARK
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
•IRELAND
ITALY
JAPAN
MALAYSIA
NETHERLANDS
•NEW ZEALAND
NORWAY
PORTUGAL
SINGAPORE
•SOUTH AFRICA
SOUTH KOREA
SPAIN
SRI LANKA
SWEDEN
SWITZERLAND
TAIWAN
THAILAND
•UNITED KINGDOM
DOLLAR
SCHILLING
FRANC
CRUZADO
DOLLAR
YUAN
KRONE
MARKKA
FRANC
D. MARK
DRACHMA
DOLLAR
RUPEE
POUND
LIRA
YEN
RINGGIT
GUILDER
DOLLAR
KRONE
ESCUDO
DOLLAR
RAND
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND
MEMO:
•UNITED STATES
DOLLAR
FEB.
2
1 CURRENCY UNITS PER DOLLAR)
FEB. 3
FEB. 4
FEB.
66.10
12.735
37.440
16.54
1.3340
3.7314
6.8500
4.5500
6.0280
1.8070
133.050
7.7745
13.0600
147.20
1288.00
152.57
2.5375
2.0395
54.150
7.0050
141.450
2.1370
48.45
861.80
128.700
28.622
6.4825
1.5255
NA
25.940
152.41
66.55
12.680
37.350
16.63
1.3330
3.7314
6.8250
4.5350
6.0050
1.7985
131.500
7.7770
13.0200
147.48
1283.00
152.50
2.5310
2.0275
54.400
6.9550
140.250
2.1320
48.20
860.80
127.500
28.617
6.4650
1.5180
35.110
25.890
152.75
66.93
12.750
37.570
16.89
1.3260
3.7314
6.8580
4.5500
6.0520
1.8140
133.250
7.7860
13.0300
146.90
1291.00
152.80
2.5380
2.0465
54.580
6.9750
141.400
2.1410
48.25
860.20
127.700
28.617
6.4900
1.5325
35.100
25.890
152.28
98.87
98.56
99.07
5
66.82
12.948
38.100
16.89
1.3315
3.7314
6.9580
4.5970
6.1330
1.8405
134.400
7.7955
13.1200
144.85
1309.00
153.63
2.5385
2.0760
54.550
7.0475
142.800
2.1420
47.95
860.50
129.450
28.622
6.5500
1.5495
35.080
25.890
151.50
100.13
FEB.
6
66.93
13.060
38.370
17.02
1.3341
3.7314
7.0250
4.6150
6.1775
1.8560
135.500
7.7990
13.1900
143.60
1319.00
154.45
2.5465
2.0930
54.600
7.0900
143.600
2.1480
47.70
860.90
130.200
28.625
6.5800
1.5660
35.070
25.940
150.65
100.79
SINDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER 6-10
COUNTRIES. MARCH 1973 = 100. HEIGHTS ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES.
SERIES REVISED AS OF AUGUST 1978. FOR DESCRIPTION AND BACK DATA, SEE "INDEX OF THE
WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST
1978 FEDERAL RESERVE BULLETIN.
W A L U E IS U.S. CENTS
@FedFRASER